Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0905
Annualized Std Dev 0.2814
Annualized Sharpe (Rf=0%) -0.3217

Row

Daily Return Statistics

Close
Observations 3393.0000
NAs 1.0000
Minimum -0.1358
Quartile 1 -0.0062
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0066
Maximum 0.3024
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0004
Variance 0.0003
Stdev 0.0177
Skewness 0.9502
Kurtosis 36.5597

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0141
Loss Deviation 0.0151
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0128
Downside Deviation (0%) 0.0128
Maximum Drawdown 0.8432
Historical VaR (95%) -0.0240
Historical ES (95%) -0.0449
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
2007-10-18 2020-03-18 NA -0.8432 3379 3125 NA
2007-10-11 2007-10-11 2007-10-17 -0.0071 5 1 4
2007-09-27 2007-09-27 2007-09-28 -0.0061 2 1 1
2007-10-04 2007-10-08 2007-10-10 -0.0030 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA 0.5 -0.9 4.1 0.3 4
2008 0.8 0.7 3.3 -0.1 1.1 -2 -1.8 -0.4 0.6 4.9 -7.3 3.6 2.9
2009 1 -0.1 -3.1 -4.2 1.1 0 -1.3 -1.8 -6 -4.6 -1.5 -0.4 -19.2
2010 -1.2 -0.5 -1.8 0.8 -2.7 -2.9 0.8 1.1 0.3 -1.4 0.7 -0.6 -7.2
2011 -1.2 -1.4 0.3 1.2 -2.3 -1.1 0.7 -0.5 -2.2 -3 -1 1 -9.2
2012 0.8 -0.7 0.4 -3.2 -2.6 2.9 -1.2 -0.2 0 0 0.1 -0.2 -4
2013 -0.6 -1.2 0.3 -0.1 -0.3 -0.8 -0.7 0 -0.4 -1.5 0.3 4.7 -0.5
2014 0 0.1 0 0.4 0.6 -0.6 -2 -0.2 -2 0.9 -1.3 0.6 -3.5
2015 -0.8 0.7 -1 -0.8 -1.2 -0.5 0.4 -1.9 -1.1 1.3 -0.5 -0.2 -5.3
2016 -1.9 0.5 -0.5 0.5 -1.2 -0.4 -0.8 -1.6 -0.2 -2.1 -0.4 -0.5 -8.3
2017 -1.8 -0.6 0 -1.3 -0.3 0.8 -0.4 -0.1 0.8 -0.5 -0.8 -0.3 -4.4
2018 -1.3 -2.9 3 -1.4 -0.3 0.3 -0.6 -0.3 -0.9 0.5 -0.2 0.6 -3.6
2019 -1 -1 -1.5 -1.6 0 -1.2 -1.4 0.4 -1.3 -0.6 -0.4 0.2 -8.9
2020 -1.2 -3.4 -3.9 -3.2 1.2 -0.5 -1.4 0 -2.5 -2.8 0.7 0.7 -15.4
2021 -0.4 0.2 0 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-09-26  19.8 SPY    152.  0.0053  -0.0076   0.0357   0.0119    0.149    0.365    0.849 GLD    72   -0.0046  8.00e-3
2 2007-09-27  19.6 SPY    153.  0.0059   0.0053   0.0652   0.018     0.146    0.382    0.815 GLD    72.7  0.0097 -3.00e-4
3 2007-09-28  19.8 SPY    153. -0.0033   0.004    0.0412   0.0143    0.141    0.371    0.780 GLD    73.5  0.0111  1.62e-2
4 2007-10-01  20.0 SPY    154.  0.0113   0.0172   0.0558   0.0165    0.154    0.380    0.865 GLD    73.9  0.0053  2.24e-2
5 2007-10-02  20   SPY    154. -0.0014   0.0178   0.044    0.0115    0.154    0.379    0.884 GLD    72.4 -0.021   3.00e-4
6 2007-10-03  20.0 SPY    154. -0.002    0.0104   0.0315   0.0105    0.156    0.353    0.794 GLD    71.9 -0.0062 -1.40e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart